85 citations · 405 across the 34 of their papers we have counts for
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Dynamical Low-Rank Approximation for Stochastic Differential Equations
Yoshihito Kazashi, Fabio Nobile, Fabio Zoccolan
In this paper, we set the mathematical foundations of the Dynamical Low-Rank Approximation (DLRA) method for stochastic differential equations (SDEs). DLRA aims at approximating th…
Unbiased likelihood estimation of Wright-Fisher diffusion processes
Celia García-Pareja, Fabio Nobile
In this paper we propose a Monte Carlo maximum likelihood estimation strategy for discretely observed Wright-Fisher diffusions. Our approach provides an unbiased estimator of the l…
A multigrid solver for PDE-constrained optimization with uncertain inputs
Gabriele Ciaramella, Fabio Nobile, Tommaso Vanzan
In this manuscript, we present a collective multigrid algorithm to solve efficiently the large saddle-point systems of equations that typically arise in PDE-constrained optimizatio…